This paper shows how the eﬀect of fuel prices varies with the level of electricity demand. It analyzes the relationship between daily prices of electricity, natural gas and carbon emission allowances with a vector error correction model and a semiparametric varying smooth coef- ﬁcient model. The results indicate that the electricity price adapts to fuel price changes in a long-term cointegration relationship. Diﬀerent electricity generation technologies have distinct fuel price dependencies, which allows estimating the structure of the power plant portfolio by exploiting market prices. The semiparametric model indicates a technology switch from coal to gas at roughly 85% of maximum demand. It is used to analyze the market impact of the nuclear moratorium by the German Government in March 2011. Futures prices show that the market eﬃciently accounts for the suspended capacity and expects that several nuclear plants will not be switched on after the moratorium.

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